Take the 3 bones out of a turkey's wing. Remove all feathers/ meat. Saw just the ends off and clean out the marrow. Adjust the ends of the bones so they fit inside of each other going from the smallest bone to the largest. Seal the joints with epoxy and it is ready to call. Wild or storebought turkeys can be used. Wild turkey wings sound better and henbones are supposed to be the best bones to use. But it is all up to your personal preference.
That is the short version. But really, you can find quite a few tutorals with how to pictures on a few different websites. They are definitely a distinct sounding call that most other hunters do not use. Let me know if you have any other questions. Here are my first three wrapped calls that I ever tried. These were made in 08'.
Here is another group of four that I put together in 09. The one has a deer antler as a bell (last section).